Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1062
Annualized Std Dev 0.2337
Annualized Sharpe (Rf=0%) 0.4543

Row

Daily Return Statistics

Close
Observations 4184.0000
NAs 1.0000
Minimum -0.1332
Quartile 1 -0.0065
Median 0.0012
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0082
Maximum 0.1074
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0010
Variance 0.0002
Stdev 0.0147
Skewness -0.5074
Kurtosis 7.1748

Downside Risk

Close
Semi Deviation 0.0109
Gain Deviation 0.0097
Loss Deviation 0.0115
Downside Deviation (MAR=210%) 0.0153
Downside Deviation (Rf=0%) 0.0106
Downside Deviation (0%) 0.0106
Maximum Drawdown 0.5803
Historical VaR (95%) -0.0226
Historical ES (95%) -0.0352
Modified VaR (95%) -0.0236
Modified ES (95%) -0.0473
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2011-02-04 -0.5803 838 355 483
2020-02-20 2020-03-23 2020-07-15 -0.3717 102 23 79
2018-09-14 2018-12-24 2020-01-13 -0.2838 333 69 264
2015-06-24 2016-02-11 2017-01-25 -0.2805 395 159 236
2011-07-08 2011-10-03 2012-09-13 -0.2744 300 61 239

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA 1 1.6 2.2 0.6 2.1 -0.4 7.2
2005 0.5 0.8 0 0.8 0.5 -0.8 0.7 0.3 0.5 0.2 2 -0.9 4.7
2006 0.7 1.8 0.5 -0.5 2 0.7 -1.7 -0.1 -0.9 -2 -0.6 -1 -1.4
2007 0.8 -0.4 0.1 0.1 0.7 -0.9 0.2 1.2 2.3 -3.4 0.1 -1.2 -0.7
2008 2 -2.7 2.7 1.9 0.5 0.1 0.1 -1.3 -1.2 3 -9.5 3.1 -1.9
2009 -1.8 -1.3 0.4 0.5 4 1.2 0 -1.8 -3.2 -2.4 1.6 -1.2 -4
2010 1.1 2.1 -0.2 -1.9 -2 -0.3 0.1 3.5 0.4 -0.5 2.4 -0.8 3.6
2011 1.9 -1.5 -0.3 0.6 -2.1 1.4 -0.8 -1.9 -0.6 -3.2 -0.4 -0.5 -7.2
2012 2 0.9 0.2 1.7 -3 3.2 -1.6 0.4 -0.6 1.3 -0.2 1.6 5.9
2013 1.3 0.2 -1.5 -0.8 -0.2 1 1.7 -1.3 1.5 -0.6 -0.2 0.2 1.3
2014 -0.8 -0.4 1.4 0.2 -0.8 1.4 -0.9 0.5 -1.8 1.4 -1.7 -0.4 -1.7
2015 -1.7 -0.5 -0.8 1.1 0.3 -0.1 1.1 -2.9 -0.3 0.2 0.6 -0.8 -3.9
2016 1.2 1.3 -0.2 -1.1 1.3 0.4 0.1 0.1 1.2 -1.1 -1.6 -0.7 0.9
2017 0 1.4 0.4 0.8 1.8 0.1 0 0.4 0.3 -0.8 -0.9 -0.2 3.4
2018 0.2 -1.6 1.8 0.4 1.3 0.5 0.8 0.6 -1.3 2.6 0 1.3 6.7
2019 0.2 1.3 0.8 -1.1 -1.2 0.6 -0.9 -0.3 -1.4 1.6 -0.6 0.1 -0.9
2020 -2.2 -1.6 -6.1 -3.5 1.3 0.9 -0.4 1.1 1.8 -2.2 0.4 -0.8 -11.1
2021 1.9 3.6 1.5 NA NA NA NA NA NA NA NA NA 7.2

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart